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The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach
16 references·10 citing·39 second hop
The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach (2003)The effects of monetary policy shocks on …Co-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)Chapter 2 Monetary policy sho…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Measuring Monetary Policy (1998)Measuring Monetary PolicyWhen Do Long-Run Identifying Restrictions Give Reliable Results? (1997)When Do Long-Run Identifying …Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Interpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Macroeconomics and Reality (1980)Macroeconomics and RealityExpectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…The response of macroeconomic aggregates to monetary policy shocks in Pakistan (2014)The response of macroeconomic…Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets (2014)Interest Rates and Stock Pric…Transmission Lags of Monetary Policy: A Meta-Analysis (2012)Transmission Lags of Monetary…Mean reversion in long-horizon real exchange rates: Evidence from Latin America (2012)Mean reversion in long-horizo…Bankruptcy dynamics in Japan (2011)Bankruptcy dynamics in JapanMonetary shocks, exchange rates and trade balances: Evidence from inflation targeting countries (2010)Monetary shocks, exchange rat…The “price puzzle” in the monetary transmission VARs with long-run restrictions (2009)The “price puzzle” in the mon…Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates (2008)Some empirical evidence on th…The estimation of monetary policy reaction function in a data-rich environment: The case of Japan (2007)The estimation of monetary po…AN ANALYSIS OF MONETARY POLICY SHOCKS IN JAPAN: A FACTOR AUGMENTED VECTOR AUTOREGRESSIVE APPROACH (2007)AN ANALYSIS OF MONETARY POLIC…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Bounds testing approaches to the analysis of level relationships (2001)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 1988Testing for Common Trends1,894 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?1,484 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 1997When Do Long-Run Identifying Restrictions Give Reliable Results?505 cited

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  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • Cited by

    • 2012Transmission Lags of Monetary Policy: A Meta-Analysis60 cited
    • 2008Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates41 cited
    • 2010Monetary shocks, exchange rates and trade balances: Evidence from inflation targeting countries35 cited
    • 2007AN ANALYSIS OF MONETARY POLICY SHOCKS IN JAPAN: A FACTOR AUGMENTED VECTOR AUTOREGRESSIVE APPROACH29 cited
    • 2011Bankruptcy dynamics in Japan29 cited
    • 2012Mean reversion in long-horizon real exchange rates: Evidence from Latin America18 cited
    • 2009The “price puzzle” in the monetary transmission VARs with long-run restrictions15 cited
    • 2014Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets14 cited
    • 2007The estimation of monetary policy reaction function in a data-rich environment: The case of Japan13 cited
    • 2014The response of macroeconomic aggregates to monetary policy shocks in Pakistan12 cited